For what it's worth, Art Hodes interviewed Davenport a couple of times between 1945 and 1955. A transcript of some of was published in the British magazine Jazz Journal (May 1959).
When asked about his song, Cow Cow Blues, he told Hodes:
"When I began playin' the 'Cow Cow Blues' I was trying to imitate a train and I originally called them the 'Railroad Blues'. I was trying to get in a part where the switchman (with many of whom I had a personal acquaintance) boarded the train from the cow-catcher or front of the train. The word 'cow; somehow stuck with me and once, working in a theatre, I ended a song with 'Nobody here can do me like Papa Cow Cow can do'. The audience immediately picked up the song and those who liked the number were anxious to get acquainted with me. After the show they would walk up addressing me as 'Papa Cow Cow' and from then on I have been called by such a moniker".